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How to Estimate Spatial Contagion between Financial Markets
4 references·1 citing·23 second hop
How to Estimate Spatial Contagion between Financial Markets (2005)How to Estimate Spatial Contagion between…Empirical Evidence on Spatial Contagion Between Financial Markets (2005)Empirical Evidence on Spatial…Framework for Analyzing Spatial Contagion between Financial Markets (2004)Framework for Analyzing Spati…Efficient estimation of conditional variance functions in stochastic regression (1998)Efficient estimation of condi…Pitfalls in Tests for Changes in Correlations (1997)Pitfalls in Tests for Changes…On spatial contagion and multivariate GARCH models (2013)On spatial contagion and mult…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Financial market integration in Europe: on the effects of EMU on stock markets (2002)News spillovers in the sovereign debt market (2005)Flights and contagion—An empirical analysis of stock–bond correlations (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Theory of the Term Structure of Interest Rates (1985)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)A Reexamination of Diffusion Estimators With Applications to Financial Model Validation (2003)Efficient Semiparametric Estimation of the Fama-French Model and Extensions (2012)How to measure the impact of environmental factors in a nonparametric production model (2012)Safety First and the Holding of Assets (1952)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Financial contagion: A local correlation analysis (2010)A spatial contagion measure for financial time series (2014)Exchange rate contagion in Latin America (2015)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Modeling spatial and temporal dependencies among global stock markets (2015)An Analysis of the Dependence Among Financial Markets by Spatial Contagion (2013)Spatial financial contagion during the COVID-19 outbreak: Local correlation approach (2021)
this work references cited by second hop

References

  • 1998Efficient estimation of conditional variance functions in stochastic regression474 cited
  • 1997Pitfalls in Tests for Changes in Correlations381 cited
  • 2004Framework for Analyzing Spatial Contagion between Financial Markets47 cited
  • 2005Empirical Evidence on Spatial Contagion Between Financial Markets34 cited

Cited by

  • 2013On spatial contagion and multivariate GARCH models24 cited

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